Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1866
Annualized Std Dev 0.4642
Annualized Sharpe (Rf=0%) -0.4019

Row

Daily Return Statistics

Close
Observations 3414.0000
NAs 1.0000
Minimum -0.3744
Quartile 1 -0.0090
Median 0.0000
Arithmetic Mean -0.0004
Geometric Mean -0.0008
Quartile 3 0.0089
Maximum 0.4394
SE Mean 0.0005
LCL Mean (0.95) -0.0014
UCL Mean (0.95) 0.0006
Variance 0.0009
Stdev 0.0292
Skewness 0.4138
Kurtosis 57.6357

Downside Risk

Close
Semi Deviation 0.0210
Gain Deviation 0.0243
Loss Deviation 0.0258
Downside Deviation (MAR=210%) 0.0249
Downside Deviation (Rf=0%) 0.0212
Downside Deviation (0%) 0.0212
Maximum Drawdown 0.9801
Historical VaR (95%) -0.0341
Historical ES (95%) -0.0679
Modified VaR (95%) -0.0109
Modified ES (95%) -0.0109
From Trough To Depth Length To Trough Recovery
2007-08-28 2020-03-18 NA -0.9801 3415 3161 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA 0.8 0 -1.6 3.9 1.5 4.6
2008 1.9 -1.5 3.5 -1.2 -1.7 -0.3 2 2.1 3.9 0.4 -10.7 10.6 8.1
2009 -4.3 -2.1 2.8 -0.5 -1.2 2.4 -1 -2 -2.9 1.5 3.1 1.3 -3.3
2010 1.9 4.4 0.5 0.1 -2.8 -0.1 0.7 0.6 1.7 0.8 2.1 1.8 12.2
2011 -1 -0.8 -0.5 0.9 -0.9 -1 2.2 -1 -1.2 -2.6 -0.3 -1 -7
2012 -0.7 1 0.1 0.7 -0.5 -3.7 -1.7 0.3 -1.3 1.9 -1.5 0.1 -5.2
2013 0.8 -0.5 -0.1 -0.6 0.6 -0.5 0.4 -1.2 0.1 -0.4 0.4 0.5 -0.5
2014 -2.4 -0.5 0.5 0.4 -0.1 1.8 -1.2 0.9 -1.3 0.5 -0.5 -2 -3.9
2015 0 0 0.5 0.2 -0.7 -1.4 -0.6 -1.8 0.9 -0.4 0.4 5.3 2.4
2016 -1.4 0.3 -1.5 0.9 1.7 0.4 -2.4 -0.2 1.1 -0.9 0.9 0.4 -0.8
2017 1.9 0.6 1 0.4 0.8 0 0.4 0.8 0.9 1.4 4.2 0.3 13.4
2018 0.4 -1.7 0.6 -0.4 -0.9 -0.7 -0.2 -0.3 1.3 1.5 0.6 0.6 0.8
2019 2.1 -0.2 1.5 -0.6 -0.9 -0.1 -3.9 0.9 -0.4 1.9 0.4 2.7 3.4
2020 -1.7 3.8 3.1 -2.1 7.6 -0.8 1.3 -1.3 0 -1.5 2.2 0.4 11
2021 0.9 3.1 0.8 NA NA NA NA NA NA NA NA NA 4.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-08-27  398  SPY    147. -0.00930   0.016    0.0127  -0.0347    0.133    0.323    0.553 GLD    66.0 -0.002    0.0132
2 2007-08-28  389  SPY    144. -0.022    -0.0083  -0.0248  -0.0636    0.107    0.294    0.509 GLD    65.6 -0.0059   0.008 
3 2007-08-29  382  SPY    147.  0.0196   -0.0008   0.0056  -0.0442    0.124    0.315    0.556 GLD    66.1  0.0073   0.0102
4 2007-08-30  385  SPY    146. -0.0027   -0.0025  -0.0019  -0.0515    0.119    0.322    0.587 GLD    65.8 -0.0041   0.0075
5 2007-08-31  388  SPY    148.  0.0099   -0.005   -0.0001  -0.0422    0.130    0.328    0.602 GLD    66.5  0.0109   0.0062
6 2007-09-04  386. SPY    149.  0.0101    0.0145   0.0367  -0.0287    0.141    0.339    0.624 GLD    67.4  0.0138   0.0221
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart